Assessment of the dynamics of Asian and European option on the hybrid system

International Conference on Computer Simulation in Physics and Beyond 2015

物理学;计算机科学

Bogdanov, A.V.^1 ; Stepanov, E.A.^2 ; Khmel, D.S.^3

Nauki pr. 12-4-29, St. Petersburg

195257, Russia^1

Gakkelevskaya st. 20-1-51, St. Petersburg

197372, Russia^2

Halturina st. 9-12, Peterhof, St. Petersburg

198504, Russia^3

关键词: Asian options;    Black-Scholes model;    European option;    Path integral;    Performance optimizations;    Stochastic differential equations;   

Others  :  https://iopscience.iop.org/article/10.1088/1742-6596/681/1/012007/pdf
DOI  :  10.1088/1742-6596/681/1/012007

学科分类：计算机科学（综合）

来源: IOP

【 摘 要 】

In this article the problem of performance optimization for estimation of European and Asian options pricing is discussed. The main goal is to substantially improve the performance in solving the problems on the hybrid system. The authors optimized the algorithms of the Monte Carlo method for solving stochastic differential equations and path integral derived from Black-Scholes model for pricing options.